density forecasts, combination

Publication date: 5 Nov 2004 | Publication type: NIESR Discussion Paper | Authors: Mitchell, J | JEL classification: C53; E37 | NIESR discussion paper number: 248
This Revision December 2005. First Version November 2004. This paper brings together two important but hitherto largely unrelated areas of the forecasting literature, density forecasting and forecast combination. It proposes a simple data-driven approach to direct combination of density forecasts...